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In case you missed them, here are some articles from July of particular interest to R users. A simulation in R finds the value (or disadvantage) or drawing an X, J, Q or Z in Scrabble. How to display high-quality graphics on the web using SVG output from R. A review of Paul Murrell's talk about raster image support...

John Hussman has a Recession Warning Composite that I am attempting to replicate/improve. The underlying data seems to be easy enough to get from FRED using the quantmod package in R. I don't quite understand the index Hussman is using for commercial...

Often I like to see the performance of a trading strategy summarized annually, quarterly or by month. In R, we start off with the summary function: Given a series xx, usually a chunk of the original, this function returns the accumulative returns for the period. The leverage is useful to somewhat simulate leveraged ETFs. The

Based on my perception of the last 3 years, I would have expected high dividend stocks to have substantially underperformed low and zero dividend stocks. Fortunately, just like with size and momentum in Beating Kenneth French Small – High, we c...

"The R-Files" is an occasional series from Revolution Analytics, where we profile prominent members of the R Community. Name: Jeff Ryan Profession: Owner/Principal at Lemnica; Committee Member at R/Finance Nationality: American Years Using R: 8 Known for: R/Finance Conference, quantmod and xts packages Jeffrey Ryan is a Chicago-based quantitative software analyst and avid R user. He is perhaps best...

I have noticed that the Russell 2000 (RUT) acts very differently from most of the other indexes that I have studied. If we apply the system shown in Shorting Mebane Faber to RUT and then extend it with a simple slope, we notice something very dif...

Although I do not personally know Mebane Faber, I know enough that I do not want to short him. However, I thought it would be insightful to see how the short side of his “A Quantitative Approach To Tactical Asset Allocation” might look. Once ...

What troubles me most about today’s environment is the persistent belief that crisis large or small results in a US dollar rally and lower Treasury rates. However, what happens if the US dollar and US Treasury rates are the source of the crisis? Then...

As an extension to yesterday’s post Just Arriving is Not Enough, I wanted to show how minimizing drawdown is a much better technique to help control comfort and potentially increase ending wealth. CHTTX was one of the best performers of the fou...